UK Power – modelling the half-hourly settlement periods, the various EFA blocks, half-blocks, and block combinations

Nordic Power – on Nord Pool and in the separate regions

Challenges we have dealt with are the 15 minute settlement period in Germany, the EFA calendar in the UK (and the migration to a Gregorian calendar), and the NordPool and CfD trading in the Scandinavian market.

In terms of products, besides the traditionally traded futures and forwards, some of the more interesting things we have built are:

Power generation modelling

Daily power options (where we were also involved in improving the calculation of volatility values to arrive at more accurate MTM and Greeks)

VPP

Reporting of various spreads in multiple units (strategies with market observed conversion factors for coal, gas, and emissions, real-time reporting of MW, Therms/D or any other unit equivalent across different commodities)

For Conti power, we have also designed Base and Peak exposure reporting, along with Peak and Offpeak one.